Optimal Investment-Consumption Problem with Constraint

QR Code

Optimal Investment-Consumption Problem with Constraint

In this paper, we consider an optimal investment-consumption problem subject to a closed convex constraint. In the problem, a constraint is imposed on both the investment and the consumption strategy, rather than just on the investment. The existence of solution is established by using the Martingal...

Full description

Bibliographic Details
Main Authors:	Liu, Jingzhen, Yiu, Ka Fai, Teo, Kok Lay (ah Nge)
Format:	Journal Article
Published:	American Institute of Mathematical Sciences 2013
Subjects:	dynamic risk constraint consumption duality martingale Investment
Online Access:	http://hdl.handle.net/20.500.11937/22554

Similar Items

Optimal investment and proportional reinsurance with risk constraint
by: Liu, J., et al.
Published: (2013)

Financial Constraints, Cash Holdings and Investment Behaviours: An Empirical Investigation of US Manufacturing Industry
by: CHEN, YIDAN
Published: (2017)

Financial constraints, R&D investment and productivity in U.S. manufacturing firms
by: zheng, Jing
Published: (2016)

The Impact of Financial Constraint on Cash Holdings Behaviour and the Value of Cash Holdings and Investment: Evidence from Chinese Listed Firms
by: Xie, Zheyang
Published: (2019)

A smoothing approach for the optimal parameter selection problem with continuous inequality constraint
by: Feng, Z., et al.
Published: (2013)

Optimal Control Computation for Discrete Time Time-Delayed Optimal Control Problem with All-Time-Step Inequality Constraints
by: Li, Bin, et al.
Published: (2010)

Non-fragile robust H[infinity] control for uncertain spacecraft rendezvous system with pole and input constraints
by: Gao, X., et al.
Published: (2012)

Credit constraints and spillovers from foreign firms in China
by: Agarwal, Natasha, et al.
Published: (2014)

Minimizing control variation in discrete-time optimal control problems
by: Zhang, Y., et al.
Published: (2016)

Optimal replication of random vectors by ordinary integrals
by: Dokuchaev, Nikolai
Published: (2013)

A direct optimization method for low group delay FIR filter design
by: Wu, Changzhi, et al.
Published: (2013)

Optimal control problems with a continuous inequality constraint on the state and the control
by: Loxton, Ryan, et al.
Published: (2009)

Solid modeling through constraint-based manipulations in a virtual reality environment
by: Zhong, Yongmin, et al.
Published: (2004)

Optimal portfolios with stress analysis and the effect of a CVAR constraint
by: Liu, J., et al.
Published: (2011)

Min-max optimal control of linear systems with uncertainty and terminal state constraints
by: Wu, C., et al.
Published: (2013)

A converse duality theorem on higher-order dual models in nondifferentiable mathematical programming
by: Yang, X., et al.
Published: (2010)

Integrity Constraints Maintenance For Parallel Databases
by: Ahmad Hamed Hanandeh, Feras
Published: (2006)

Global optimal design of IIR filters via constraint transcription and filled function methods
by: Ling, B., et al.
Published: (2013)

Awareness and importance of investment among student Halal Management in UiTM Puncak Alam / Nurnadzifa Aminahar
by: Aminahar, Nurnadzifa
Published: (2019)

Robust reliabile H∞ control for uncertain systems with pole constraints
by: Gao, X., et al.
Published: (2012)

Determinants of foreign direct investment (FDI) inflow in China
by: Shaf'i, Hairiz Hanil
Published: (2015)

The impact of foreign direct investments on the economic growth rate and domestic investments of Malaysia / Yong Sze Wei, Chong Vui Hok and Gan Siew Ling
by: Yong, Sze Wei, et al.
Published: (2012)

Determinants of trading volume in real estate investment trusts / Hairulnizam Hashim
by: Hashim, Hairulnizam
Published: (2013)

Virtual modelling of solid objects with constraint-based manipulations
by: Zhong, Yongmin, et al.
Published: (2006)

Modelling the crowding effect of foreign direct investment on domestic investment: evidence from 38 Asian countries / Nurul Azwanie Budang
by: Budang, Nurul Azwanie
Published: (2020)

The impact of asian crisis on Malaysia's foreign direct investment / Nur Firas Nazim
by: Nazim, Nur Firas
Published: (2018)

Optimal feedback control for dynamic systems with state constraints: An exact penalty approach
by: Lin, Qun, et al.
Published: (2014)

Factors affecting foreign direct investment decision in Malaysia / Farah Hannah Mohamad Idris
by: Mohamad Idris, Farah Hannah
Published: (2018)

The relationship of foreign direct investment with macroeconomic indicators towards economic growth in Malaysia/ Noorshila Ramly
by: Ramly, Noorshila
Published: (2017)

Household Income, Consumption and Saving Behaviour: a Case Study of Two Rural Districts in Malaysia
by: Puteh Mahadi, Bahar
Published: (1988)

The determinants of Foreign Direct Investment (FDI) in Malaysia / Nur Shahniza Sapuwan
by: Sapuwan, Nur Shahniza
Published: (2014)

The influence of accounting information disclosure on foreign direct investment in nigerian listed companies / Oyerogba Ezekiel Oluwagbemiga
by: Oluwagbemiga, Oyerogba Ezekiel
Published: (2019)

An Investigation of Theory of Constraints (TOC) and Related Techniques in Health Care Operations
by: Ku, Elsa Kui-Chi
Published: (2007)

Thermal comfort and energy consumption in a UK educational building
by: Barbhuiya, S., et al.
Published: (2013)

An adaptive antenna array processor with derivative constraints.
by: Tuthill, John D.
Published: (1995)

Classical duals, Legendre transforms and the Vainshtein mechanism
by: Padilla, Antonio, et al.
Published: (2012)

Foreign direct investment (FDI) flows to developing economies: Malaysia / Norashikin Zulkifli
by: Zulkifli, Norashikin
Published: (2014)

The determinants of foreign direct investment in Malaysia / Muhammad Fahmie Md Yatem
by: Md Yatem, Muhammad Fahmie
Published: (2016)

Determinants of Foreign Direct Investment in Malaysia / Nur Syamihah Abdul Ghani
by: Abdul Ghani, Nur Syamihah
Published: (2015)

Investment opportunities and market reaction to international joint ventures / Dina Novita Mohmad Nordin
by: Mohmad Nordin, Dina Novita
Published: (2007)